Related papers: Evolutionary Model of Stock Markets
As mathematical model for the evolutionary equations of species the masterequation is choiced. Two formulations will be demonstrated to include the changes of parameters into the masterequation - that is, on the one hand, the formation of a…
A birth-death lattice gas model about the influence of an environment on the fitness and concentration evolution of economic entities is analytically examined. The model can be mapped onto a high order logistic map. The control parameter is…
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an…
A mathematical model of interacting species filling ecological niches left by the extinction of others is introduced. Species organize themselves into genera of all sizes. The size of a genus on average grows linearly with its age,…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
A microscopic approach to macroeconomic features is intended. A model for macroeconomic behavior under heterogeneous spatial economic conditions is reviewed. A birth-death lattice gas model taking into account the influence of an economic…
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an approach to correction of macroeconomic…
We propose a simple model for the behaviour of longterm investors on a stock market, consisting of three particles, which represent the current price of the stock and the opinion of the buyers, respectively sellers, about the right trading…
We look at price formation in a retail setting, that is, companies set prices, and consumers either accept prices or go someplace else. In contrast to most other models in this context, we use a two-dimensional spatial structure for…
The following notes contain a computer simulation concerning effective competition in an evolutionary environment. The scope is to underline the existence of a side effect pertaining to the competitive processes: the tendency toward an…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
We introduce a model for the short-term dynamics of financial assets based on an application to finance of quantum gauge theory, developing ideas of Ilinski. We present a numerical algorithm for the computation of the probability…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
Evolutionary and ecosystem dynamics are often treated as different processes --operating at separate timescales-- even if evidence reveals that rapid evolutionary changes can feed back into ecological interactions. A recent long-term field…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
We study a random version of the population-market model proposed by Arlot, Marmi and Papini in Arlot et al. (2019). The latter model is based on the Yoccoz-Birkeland integral equation and describes a time evolution of livestock commodities…
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes the Tsallis nonextensive entropy of index $q$. A generalized…
Financial markets have a vital role in the development of modern society. They allow the deployment of economic resources. Changes in stock prices reflect changes in the market. In this study, we focus on predicting stock prices by deep…
One of the most enticing research areas is the stock market, and projecting stock prices may help investors profit by making the best decisions at the correct time. Deep learning strategies have emerged as a critical technique in the field…
We study the evolutionary dynamics of games under environmental feedback using replicator equations for two interacting populations. One key feature is to consider jointly the co-evolution of the dynamic payoff matrices and the state of the…